MyGaming did
an article for WebAfrica subscribers a short while ago that tell you how to use SteamWatch, which is a little proggie that monitors the port Steam uses and literally blocks any IP that you haven't whitelisted in the config XML-file. Go have a read.
Only drawback is that you'll need to find out what the IPs of the local Steam servers are - I only know of the IS and WA servers; not sure if there are others. If someone has them maybe they can supply them in this thread? Contrary to what people are saying, the WA server isn't limited to WA subscribers - it's just the only one registered on WA's Freezone - so anyone should technically be able to download via it. I think. Don't quote me on that.
WA subscribers have compiled a list of games they've confirmed on the server
here. No idea how accurate or up to date it is.